Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
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- Roger Lee & Dan Wang, 2012. "Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations," Annals of Finance, Springer, vol. 8(2), pages 159-181, May.
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KeywordsConstant elasticity of variance (CEV); displaced diffusion; option pricing; asymptotic expansions;
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